I made leashes for my gerbils once, I think your best bet is to go with a harness rather then a collar. Collars are great for dogs, bit rats are streamline and slim, so it'd be easy for them to slip out of one.
I made mine with twine, a secure (but not tight!) loop around the neck, another, slightly looser around the chest and another bit of string along the back to tie them together. Then connect your 'leash' to the string along the back. When you need to take it off you can just untie it, slip it off or snip it was safety scissors (just be sure to leave enough room to do this comfortably).
D= Leashes on rodents are really annoying. They're so small that they tangle them easily while they run around, and they're so light that if you might accidentally drag or jerk them around without noticing. I've found that hallways and stairs are really easily rodent-proofed, assuming you won't get in the way of your family. They're spacious, if a little boring, but stairs can be fun and give them a nice workout n.n